Optimal investment with random endowments in incomplete markets.

DOI10.1214/105051604000000134zbMath1086.91030arXivmath/0405293OpenAlexW3100851307MaRDI QIDQ1879894

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405293

zbMATH Keywords

duality random endowments

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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